BAFI3252 Assignment Solutions on Modelling In Finance
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Task
In this assignment, you are asked to evaluate the strategy of buying on a cross up and selling on a cross down. You are given daily price information where you will calculate returns, move averages and identify buy and sell signals. The analysis will be based on the given historical price information. You can use Excel formulas and create additional variables in the spreadsheet to assist you in completing the tasks. There are four worksheets in the file assignment2.xlsm. The main worksheet is where you interact with the users (for inputs and outputs). The data worksheet has daily stock price information required for the analysis. The two ‘free’ worksheets are provided if you want to use them to save the results. Do not add any more worksheets to the file.
Part A – Required features.
- Write a VBA subroutine to calculate daily stock returns (use simple returns)
- Write a VBA subroutine to calculate 50 and 200-day simple moving averages
- Write a VBA subroutine(s) to identify the buy and sell signals based on the conditions for buy and sell signals discussed in the background information. At each buy and sells signal, calculate cumulative returns (sum of returns) of subsequent 5, 15 and 25 days. For example, the 5-day window is from the first day after a signal (not including) to the fifth day.
- Write a VBA subroutine to produce summary statistics as described in Table 2 and comment on the findings (write detailed comments in the textbox).